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Three Essays on Asymmetric Information in SME Finance and Microfinance
Wang, Yao ; Drábek, Zdenek (advisor) ; Janda, Karel (referee) ; Brada, Josef C. (referee) ; Kutan, Ali M. (referee)
This dissertation thesis consists of three essays on asymmetric information problem in small and medium sized enterprises (SMEs) finance and Microfinance. The aim of the thesis is to address the key problem in the credit rationing in the SME finance and microfinance and strive to improve the credit analyzing model with the help of soft information. The first essay investigates the factors that hinder the growth of SMEs using a World Bank dataset, and access to finance is found to be their biggest constrain to growth. Asymmetric information between small business owners and banks generates high interest rates, complex application procedures and high collateral requirements, which are found to be the biggest obstacles business owners face when they seek external financing. Small business owners who cannot get loans from banks will turn to microfinance as an alternative source of funds. In the second essay, a new dataset from disintermediated Peer to Peer (P2P) lending market is used to investigate credit rationing efficiency when there is no financial intermediary. The results show the existence of adverse selection where investors are predisposed to making inaccurate diagnoses of signals and gravitate to borrowers with low creditworthiness, while inadvertently screening out those with high...
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Patent Trolls: Do Their Patents Differ?
Trlifaj, Šimon ; Schwarz, Jiří (advisor) ; Wang, Yao (referee)
The United States patent system is undergoing changes, with a sharply increasing number of patent litigations and applications. This Thesis aims at analyzing the role of Non-practicing entities-companies which engage in licensing and litigating patents, as opposed to producing-in the system. Using two unique datasets of 533,720 U.S. patents, I investigate what type of patents these entities uphold. Specifically, I focus on two proxy variables for patent value (forward citations for social value and renewal rate for private value), and analyze patents owned by one of the biggest Non-practicing entities, the Intellectual Ventures. In comparison to two control groups, the results provide some evidence that patents owned by this company: 1) do have an above-average private and social value, and 2) show smaller relation between private and social value. The results support existing research which suggests that Non-practicing entities possess higher proportion of "strategic patents", that are highly privately valuable mainly for their litigation potential.
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Applications of modern spectral tools in financial econometrics
Křehlík, Tomáš ; Baruník, Jozef (advisor) ; Hanousek, Jan (referee) ; Croux, Christopher (referee) ; Wang, Yao (referee)
Spectral tools in econometrics have lately experienced a renewed surge in interest. This dissertation contributes to this literature by providing conceptually different spectral-based methods and their applications to problems of modern economics. In the first part, we take a spectral decomposition of realized volatility and construct a multivariate GARCH style model that we fit by standard quasi-maximum likelihood and generalized autoregressive score procedures. We build our model on a belief that market agents obtain information in various time horizons and therefore form their expectations in various informational horizons. This behavior creates an overall volatility process that is a mixture of spectrum specific processes. We then apply the model to the currency markets, namely GBP, CHF, and EUR. With the help of the model confidence set test we show that the multi-scale model and the generalized autoregressive score based models produce forecasts that are in most cases superior to the competing models. Moreover, we find that most of the information for future volatility comes from the high frequency part of the spectra representing the very short investment horizons. In the second part, we provide a spectral decomposition of a system multivariate connectedness measure based on Diebold and Yilmaz...
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Entropy as a Measure of Predictability in Financial Time Series
Nahodil, Vladimír ; Krištoufek, Ladislav (advisor) ; Wang, Yao (referee)
This work studies stock markets efficiency and predictability using the information-theoretic concepts of approximate entropy (ApEn) and sample entropy (SampEn) and compares them to the estimates of the Hurst exponent. This is assessed together with the property of distinguishing between developing and developed markets. Moreover, an investment strategy based on the value of the sample entropy is tested. ApEn shows very weak relationship with other measures and performs poorly as a measure of efficiency. SampEn and the Hurst exponent clearly confirm lower overall efficiency of developing markets. The sample entropy also forms quite strong downward linear relationship with hit-rates of forecasting models. ARMA shows highest hit-rates in periods with SampEn values around 1.6 - 1.7. This could be considered as an investment strategy with lower risk; however, also as one with potentially lower accumulated returns due to smaller investing windows.
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Patent Trolls: Do Their Patents Differ?
Trlifaj, Šimon ; Schwarz, Jiří (advisor) ; Wang, Yao (referee)
The United States patent system is undergoing changes, with a sharply increasing number of patent litigations and applications. This Thesis aims at analyzing the role of Non-practicing entities-companies which engage in licensing and litigating patents, as opposed to producing-in the system. Using two unique datasets of 533,720 U.S. patents, I investigate what type of patents these entities uphold. Specifically, I focus on two proxy variables for patent value (forward citations for social value and renewal rate for private value), and analyze patents owned by one of the biggest Non-practicing entities, the Intellectual Ventures. In comparison to two control groups, the results provide some evidence that patents owned by this company: 1) do have an above-average private and social value, and 2) show smaller relation between private and social value. The results support existing research which suggests that Non-practicing entities possess higher proportion of "strategic patents", that are highly privately valuable mainly for their litigation potential.
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Estimating the Misalignment between the Locations of Profits and Economic Activities of EU's Banks
Jelínková, Eliška ; Janský, Petr (advisor) ; Wang, Yao (referee)
Estimating the Misalignment between the Locations of Profits and Economic Activities of EU's Banks Author: Eliška Jelínková Supervisor: Petr Janský Ph.D. In this thesis we focus on the misalignment of European multinational banks' profits and the role of tax havens in banks' taxation. We use the existing literature and our newly collected data to estimate the difference between the location of banks' declared profit and the real economic activity in a given country. We estimate the impact of unitary taxation using an apportionment formula on banks' redistributed tax base as well as on overall tax base in a given country. We find that banks report their profits disproportionally to their economic activities in given countries. If profit were apportioned across countries on the basis of employees and turnover, approximately 60% of the profits would be redistributed on average each year. Then we focus on where the main part of a banks' profit goes and compare the results with an existing list of tax havens. We conclude that the low-tax countries play a significant role in profit redistribution of banks and that the related risk of base erosion and profit shifting is higher for large banks.
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